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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 96.9 99.1 100.6 102.0 * 0.0 *
Weighted Avg. Price 96.9 99.1 100.6 102.0 * 0.0 *
Avg. Price Bottom 5 Trades 96.8 99.0 100.5 101.9 * 0.0 *
2nd Quartile Price 96.8 99.0 100.5 101.9 * 0.0 *
3rd Quartile Price 96.8 99.1 100.6 102.0 * 0.0 *
4th Quartile Price 96.9 99.2 100.6 102.0 * 0.0 *
Avg. Price Top 5 Trades 97.0 99.3 100.7 102.0 * 0.0 *
Standard Deviation 0.1 0.1 0.1 0.0 * 0.0 *
     VOLUME OF TRADES (000'S) 749,699.3 2,988,252.3 5,282,662.7 1,257,986.3 * 0.0 *
     NUMBER OF TRADES 73 303 329 133 * 0 *
FHLMC
AVERAGE PRICE 96.8 98.9 100.5 101.9 * 0.0 0.0
Weighted Avg. Price 96.8 98.9 100.5 101.9 * 0.0 0.0
Avg. Price Bottom 5 Trades 96.7 98.8 100.5 101.9 * 0.0 0.0
2nd Quartile Price 96.7 98.9 100.5 101.9 * 0.0 0.0
3rd Quartile Price 96.8 98.9 100.5 101.9 * 0.0 0.0
4th Quartile Price 96.8 98.9 100.6 102.0 * 0.0 0.0
Avg. Price Top 5 Trades 96.8 99.0 100.6 102.0 * 0.0 0.0
Standard Deviation 0.1 0.1 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 209,687.0 148,802.2 140,679.9 280,418.3 * 0.0 0.0
     NUMBER OF TRADES 9 13 8 25 * 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 * 0 0 0
JANUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 96.7 99.0 100.5 101.9 * * 0.0
Weighted Avg. Price 96.8 99.0 100.5 101.9 * * 0.0
Avg. Price Bottom 5 Trades 96.3 98.9 100.5 101.8 * * 0.0
2nd Quartile Price 96.8 98.9 100.5 101.9 * * 0.0
3rd Quartile Price 96.8 99.0 100.5 101.9 * * 0.0
4th Quartile Price 96.8 99.0 100.5 102.0 * * 0.0
Avg. Price Top 5 Trades 96.9 99.1 100.6 102.0 * * 0.0
Standard Deviation 0.5 0.1 0.0 0.1 * * 0.0
     VOLUME OF TRADES (000'S) 522,771.3 1,452,686.5 3,562,882.2 775,435.0 * * 0.0
     NUMBER OF TRADES 23 62 54 27 * * 0
FHLMC
AVERAGE PRICE 96.8 98.8 * 101.9 0.0 0.0 0.0
Weighted Avg. Price 96.8 98.9 * 101.9 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 96.7 98.8 * 101.9 0.0 0.0 0.0
2nd Quartile Price 96.7 * * 101.9 0.0 0.0 0.0
3rd Quartile Price 96.8 * * 101.9 0.0 0.0 0.0
4th Quartile Price 96.9 * * 101.9 0.0 0.0 0.0
Avg. Price Top 5 Trades 96.8 98.8 * 101.9 0.0 0.0 0.0
Standard Deviation 0.1 0.1 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 164,600.0 34,490.0 * 57,750.0 0.0 0.0 0.0
     NUMBER OF TRADES 6 5 * 8 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FEBRUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 98.8 100.5 101.8 0.0 0.0 0.0
Weighted Avg. Price 0.0 98.8 100.4 101.8 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 98.8 100.4 101.8 0.0 0.0 0.0
2nd Quartile Price 0.0 98.8 100.4 101.8 0.0 0.0 0.0
3rd Quartile Price 0.0 98.8 100.5 101.8 0.0 0.0 0.0
4th Quartile Price 0.0 98.9 100.5 101.9 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 98.9 100.5 101.9 0.0 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 110,903.5 62,000.0 49,277.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 8 18 24 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MARCH Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

DECEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 93.1 96.2 98.8 101.1 103.2 104.7 106.3
Weighted Avg. Price 93.0 96.2 98.8 101.1 103.1 104.7 106.4
Avg. Price Bottom 5 Trades 92.9 96.0 98.6 101.0 103.0 104.7 106.2
2nd Quartile Price 92.9 96.1 98.7 101.1 103.1 104.7 106.3
3rd Quartile Price 93.2 96.2 98.8 101.1 103.1 104.7 106.3
4th Quartile Price 93.3 96.3 99.0 101.2 103.2 104.8 106.3
Avg. Price Top 5 Trades 93.3 96.5 99.1 101.4 103.5 104.8 106.7
Standard Deviation 0.2 0.1 0.1 0.1 0.1 0.0 0.3
     VOLUME OF TRADES (000'S) 450,635.0 17,774,114.5 41,599,126.1 50,297,781.4 47,457,739.0 10,176,144.8 629,458.5
     NUMBER OF TRADES 26 302 1,039 1,463 1,030 459 41
FHLMC
AVERAGE PRICE * 96.1 98.8 101.2 103.1 104.9 106.5
Weighted Avg. Price * 96.1 98.8 101.1 103.1 104.7 106.5
Avg. Price Bottom 5 Trades * 96.0 98.6 101.0 103.1 104.6 106.1
2nd Quartile Price * 96.1 98.8 101.1 103.1 104.7 106.1
3rd Quartile Price * 96.1 98.8 101.1 103.1 104.7 106.2
4th Quartile Price * 96.2 99.0 101.2 103.2 104.7 107.8
Avg. Price Top 5 Trades * 96.4 99.0 101.9 103.6 107.0 106.7
Standard Deviation * 0.1 0.1 0.2 0.2 0.7 0.8
     VOLUME OF TRADES (000'S) * 6,288,862.5 8,473,318.6 14,134,160.7 7,436,242.0 1,007,283.2 95,530.5
     NUMBER OF TRADES * 60 115 182 176 84 8
GNMA
AVERAGE PRICE 94.2 97.1 99.6 101.8 103.4 104.4 106.3
Weighted Avg. Price 94.5 97.1 99.7 101.7 103.4 104.2 106.2
Avg. Price Bottom 5 Trades 94.2 96.9 99.4 101.6 103.2 103.8 105.1
2nd Quartile Price * 97.0 99.5 101.7 103.3 104.2 105.6
3rd Quartile Price * 97.1 99.6 101.7 103.4 104.2 106.5
4th Quartile Price * 97.3 99.7 101.8 103.4 104.3 107.2
Avg. Price Top 5 Trades 94.2 97.3 100.3 102.4 104.2 106.2 107.6
Standard Deviation 0.5 0.2 0.3 0.2 0.2 0.5 1.3
     VOLUME OF TRADES (000'S) 108,875.0 1,399,547.0 5,929,362.7 4,591,202.3 6,133,704.3 1,635,161.2 30,178.3
     NUMBER OF TRADES 6 30 103 153 211 115 13
JANUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 92.9 96.1 98.8 101.0 103.0 104.6 106.2
Weighted Avg. Price 92.9 96.1 98.7 101.0 103.0 104.6 106.3
Avg. Price Bottom 5 Trades 92.8 95.9 98.5 100.9 102.9 104.5 106.1
2nd Quartile Price 92.8 96.0 98.7 101.0 103.0 104.6 106.1
3rd Quartile Price 92.9 96.1 98.7 101.0 103.0 104.6 106.2
4th Quartile Price 93.1 96.3 98.9 101.1 103.1 104.6 106.2
Avg. Price Top 5 Trades 93.2 96.4 99.0 101.2 103.2 104.7 106.5
Standard Deviation 0.2 0.1 0.1 0.1 0.1 0.0 0.4
     VOLUME OF TRADES (000'S) 388,635.0 16,509,545.5 33,407,670.9 36,854,575.2 43,854,759.2 8,301,732.0 582,285.6
     NUMBER OF TRADES 20 172 321 437 419 262 29
FHLMC
AVERAGE PRICE * 96.1 98.8 101.1 103.0 104.6 106.8
Weighted Avg. Price * 96.1 98.7 101.1 103.0 104.6 106.6
Avg. Price Bottom 5 Trades * 96.0 98.6 100.9 103.0 104.5 106.8
2nd Quartile Price * 96.0 98.7 101.0 103.0 104.6 *
3rd Quartile Price * 96.1 98.8 101.1 103.0 104.6 *
4th Quartile Price * 96.2 98.9 101.1 103.1 104.6 *
Avg. Price Top 5 Trades * 96.4 98.9 101.2 103.1 104.6 106.8
Standard Deviation * 0.1 0.1 0.1 0.1 0.1 0.9
     VOLUME OF TRADES (000'S) * 6,161,173.2 7,081,308.6 9,520,848.9 4,366,989.0 670,864.0 67,205.6
     NUMBER OF TRADES * 53 68 79 55 29 5
GNMA
AVERAGE PRICE 0.0 97.0 99.5 101.6 103.2 104.0 0.0
Weighted Avg. Price 0.0 97.0 99.6 101.6 103.2 104.1 0.0
Avg. Price Bottom 5 Trades 0.0 96.8 99.3 101.4 103.1 103.9 0.0
2nd Quartile Price 0.0 96.8 99.4 101.5 103.2 104.0 0.0
3rd Quartile Price 0.0 96.9 99.4 101.6 103.2 104.0 0.0
4th Quartile Price 0.0 97.2 99.6 101.7 103.3 104.1 0.0
Avg. Price Top 5 Trades 0.0 97.1 99.7 101.8 103.4 104.2 0.0
Standard Deviation 0.0 0.2 0.1 0.1 0.1 0.1 0.0
     VOLUME OF TRADES (000'S) 0.0 577,910.0 5,102,540.0 2,702,115.2 4,434,925.0 1,349,230.0 0.0
     NUMBER OF TRADES 0 16 44 105 149 77 0
FEBRUARY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 0.0 98.7 101.0 103.0 104.5 *
Weighted Avg. Price 0.0 0.0 98.7 100.9 103.0 104.5 *
Avg. Price Bottom 5 Trades 0.0 0.0 98.5 100.8 102.8 104.4 *
2nd Quartile Price 0.0 0.0 98.6 100.9 102.9 104.5 *
3rd Quartile Price 0.0 0.0 98.7 101.0 103.0 104.5 *
4th Quartile Price 0.0 0.0 98.9 101.1 103.0 104.5 *
Avg. Price Top 5 Trades 0.0 0.0 98.9 101.1 103.1 104.5 *
Standard Deviation 0.0 0.0 0.1 0.1 0.1 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 2,135,200.0 2,197,150.0 2,337,664.3 159,600.0 *
     NUMBER OF TRADES 0 0 28 212 176 47 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 * * * 0.0
Weighted Avg. Price 0.0 0.0 0.0 * * * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * * * 0.0
2nd Quartile Price 0.0 0.0 0.0 * * * 0.0
3rd Quartile Price 0.0 0.0 0.0 * * * 0.0
4th Quartile Price 0.0 0.0 0.0 * * * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * * * 0.0
Standard Deviation 0.0 0.0 0.0 * * * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * * * 0.0
     NUMBER OF TRADES 0 0 0 * * * 0
GNMA
AVERAGE PRICE 0.0 * 99.3 101.5 103.1 103.9 0.0
Weighted Avg. Price 0.0 * 99.3 101.5 103.1 103.9 0.0
Avg. Price Bottom 5 Trades 0.0 * 99.3 101.3 102.9 103.9 0.0
2nd Quartile Price 0.0 * * 101.4 103.0 103.9 0.0
3rd Quartile Price 0.0 * * 101.5 103.1 103.9 0.0
4th Quartile Price 0.0 * * 101.6 103.2 104.0 0.0
Avg. Price Top 5 Trades 0.0 * 99.3 101.8 103.2 104.0 0.0
Standard Deviation 0.0 * 0.2 0.1 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 6,800.0 367,000.0 340,100.3 168,000.0 0.0
     NUMBER OF TRADES 0 * 5 84 122 48 0
MARCH Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA
AVERAGE PRICE 0.0 0.0 0.0 100.9 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 101.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 100.9 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 100.9 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 1,889,000.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 5 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.